Overview

The Dow Jones U.S. Thematic Market Neutral Indices are a family of quantitative strategy indices built upon rules-based analytics. The indices reflect the performance of long/short strategies and are designed to be both market and sector neutral. Eligible for the indices are the largest 1,000 constituent companies of the Dow Jones U.S. Index, screened for liquidity.

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Dow Jones U.S. Thematic Market Neutral Value Index

Measures the performance of an investment strategy utilizing long positions on value companies and short positions on growth companies. Value is calculated using a multi-factor ranking process based on book value to price ratio, projected earnings per share to price ratio and trailing 12-month operating cash flow to price ratio.

Dow Jones U.S. Relative Value Index

Measures the performance of a strategy utilizing long positions on value companies.

Dow Jones U.S. Short Relative Value Index

Measures the performance of a strategy utilizing short positions on growth companies.

Dow Jones U.S. Thematic Market Neutral Size Index

Measures the performance of an investment strategy utilizing long positions on small-cap companies and short positions on large-cap companies.

Dow Jones U.S. Thematic Long Size Index

Measures the performance of a strategy utilizing long positions on small-cap companies.

Dow Jones U.S. Thematic Short Size Index

Measures the performance of a strategy utilizing short positions on large-cap companies.

Dow Jones U.S. Thematic Market Neutral Low Beta Index

Measures the performance of an investment strategy utilizing short positions on high beta companies and long positions on low beta companies. Beta is calculated using weekly returns for the past 52 weeks.

Dow Jones U.S. Low Beta Index

Measures the performance of a strategy utilizing long positions on low beta companies.

Dow Jones U.S. High Beta Index

Measures the performance of a strategy utilizing short positions on high beta companies.

Dow Jones U.S. Thematic Market Neutral Momentum Index

Measures the performance of an investment strategy utilizing long positions on high momentum companies and short positions on low momentum companies. Momentum is calculated by ranking stocks by their 12-month historical total return, starting one month prior to reconstitution.

Dow Jones U.S. High Momentum Index

Measures the performance of a strategy utilizing long positions on high momentum companies.

Dow Jones U.S. Low Momentum Index

Measures the performance of a strategy utilizing short positions on low momentum companies.

Dow Jones U.S. Thematic Market Neutral Quality Index

Measures the performance of an investment strategy utilizing long positions on high quality companies and short positions on low quality companies, with quality assessed based on fundamentals. Quality is calculated using a multi-factor ranking process based on trailing 12-month return on equity and debt-to-equity ratio.

Dow Jones U.S. Thematic Long Quality Index

Measures the performance of a strategy utilizing long positions on high quality companies, with quality assessed based on fundamentals.

Dow Jones U.S. Thematic Short Quality Index

Measures the performance of a strategy utilizing short positions on low quality companies, with quality assessed based on fundamentals.

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